[Federal Register Volume 71, Number 185 (Monday, September 25, 2006)]
[Notices]
[Pages 55981-55986]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 06-7674]



Federal Register / Vol. 71, No. 185 / Monday, September 25, 2006 / 
Notices

[[Page 55981]]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

FEDERAL RESERVE SYSTEM

FEDERAL DEPOSIT INSURANCE CORPORATION

DEPARTMENT OF THE TREASURY

Office of Thrift Supervision


Proposed Agency Information Collection Activities; Comment 
Request

AGENCIES: Office of the Comptroller of the Currency (OCC), Treasury; 
Board of Governors of the Federal Reserve System (Board); Federal 
Deposit Insurance Corporation (FDIC); and Office of Thrift Supervision 
(OTS), Treasury.

ACTION: Joint notice and request for comment.

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SUMMARY: In accordance with the requirements of the Paperwork Reduction 
Act of 1995 (44 U.S.C. chapter 35), the OCC, the Board, the FDIC, and 
the OTS (collectively, the agencies) may not conduct or sponsor, and 
the respondent is not required to respond to, an information collection 
unless it displays a currently valid Office of Management and Budget 
(OMB) control number. The Federal Financial Institutions Examination 
Council (FFIEC), of which the agencies are members, has approved the 
agencies' publication for public comment of proposed new regulatory 
reporting requirements for banks \1\ that qualify for and adopt the 
Advanced Capital Adequacy Framework to calculate their risk-based 
capital requirement or are in the parallel run stage of qualifying to 
adopt this framework. The proposal describes the scope of reporting and 
the proposed reporting requirements. At the end of the comment period, 
the comments and recommendations received will be analyzed to determine 
the extent to which the FFIEC should modify the proposed reporting 
requirements prior to giving its final approval. The agencies will then 
submit the proposed reporting requirements to OMB for review and 
approval and, upon approval, OMB will assign control numbers.
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    \1\ For simplicity, and unless otherwise indicated, this notice 
uses the term ``bank'' to include banks, savings associations, and 
bank holding companies (BHCs). The terms ``bank holding company'' 
and ``BHC'' refer only to bank holding companies regulated by the 
Board and do not include savings and loan holding companies 
regulated by the OTS. For a detailed description of the institutions 
covered by this notice, refer to Part I, Section 1, of the proposed 
regulatory text in the notice of proposed rulemaking entitled Risk-
Based Capital Standards: Advanced Capital Adequacy Framework.

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DATES: Comments must be received on or before January 23, 2007.

ADDRESSES: Interested parties are invited to submit written comments to 
any or all of the agencies. All comments will be shared among the 
agencies.
    OCC: You may submit comments, identified by ``OMB Control No. 1557-
NEW,'' by any of the following methods:
    <bullet> E-mail: <a href="/cdn-cgi/l/email-protection#a6d4c3c1d588c5c9cbcbc3c8d2d5e6c9c5c588d2d4c3c7d588c1c9d0"><span class="__cf_email__" data-cfemail="fa889f9d89d4999597979f948e89ba959999d48e889f9b89d49d958c">[email protected]</span></a>. Include ``OMB Control 
No. 1557-NEW'' in the subject line of the message.
    <bullet> Fax: (202) 874-4448.
    <bullet> Mail: Public Information Room, Office of the Comptroller 
of the Currency, 250 E Street, SW., Mailstop 1-5, Washington, DC 20219; 
Attention: OMB Control No. 1557-NEW.
    Public Inspection: You may inspect and photocopy comments at the 
Public Information Room. You can make an appointment to inspect the 
comments by calling (202) 874-5043.
    Board: You may submit comments, which should refer to ``Advanced 
Capital Adequacy Framework Regulatory Reporting Requirements,'' by any 
of the following methods:
    <bullet> Agency Web Site: http://www.federalreserve.gov. Follow the 
instructions for submitting comments on the http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
    <bullet> Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
    <bullet> E-mail: <a href="/cdn-cgi/l/email-protection#097b6c6e7a276a6664646c677d7a496f6c6d6c7b68657b6c7a6c7b7f6c276e667f"><span class="__cf_email__" data-cfemail="d8aabdbfabf6bbb7b5b5bdb6acab98bebdbcbdaab9b4aabdabbdaaaebdf6bfb7ae">[email protected]</span></a>. Include 
``Advanced Capital Adequacy Framework Regulatory Reporting 
Requirements'' in the subject line of the message.
    <bullet> FAX: 202-452-3819 or 202-452-3102.
    <bullet> Mail: Jennifer J. Johnson, Secretary, Board of Governors 
of the Federal Reserve System, 20th Street and Constitution Avenue, 
NW., Washington, DC 20551.
    All public comments are available from the Board's Web site at 
http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm 
as submitted, unless modified for technical reasons. Accordingly, your 
comments will not be edited to remove any identifying or contact 
information. Public comments may also be viewed electronically or in 
paper in Room MP-500 of the Board's Martin Building (20th and C 
Streets, NW.) between 9 a.m. and 5 p.m. on weekdays.
    FDIC: You may submit comments, which should refer to ``Advanced 
Capital Adequacy Framework Regulatory Reporting Requirements,'' by any 
of the following methods:
    <bullet> http://www.FDIC.gov/regulations/laws/federal/notices.html.
    <bullet> E-mail: <a href="/cdn-cgi/l/email-protection#ee8d8183838b809a9daea8aaa7adc0898198"><span class="__cf_email__" data-cfemail="0f6c6062626a617b7c4f494b464c21686079">[email protected]</span></a>. Include ``Advanced Capital 
Adequacy Framework Regulatory Reporting Requirements'' in the subject 
line of the message.
    <bullet> Mail: Steven F. Hanft, Clearance Officer (202-898-3907), 
Legal Division, Federal Deposit Insurance Corporation, 550 17th Street, 
NW., Washington, DC 20429.
    <bullet> Hand Delivery: Comments may be hand delivered to the guard 
station at the rear of the 550 17th Street Building (located on F 
Street) on business days between 7 a.m. and 5 p.m.
    Public Inspection: All comments received will be posted without 
change to http://www.fdic.gov/regulations/laws/federal/propose.html 
including any personal information provided. Comments may be inspected 
at the FDIC Public Information Center, Room E-1002, 3502 North Fairfax 
Drive, Arlington, VA 22226, between 9 a.m. and 5 p.m. on business days.
    OTS: You may submit comments, identified by ``Advanced Capital 
Adequacy Framework Regulatory Reporting Requirements (1550-NEW),'' by 
any of the following methods:
    <bullet> Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
    <bullet> E-mail address: <a href="/cdn-cgi/l/email-protection#dab3b4bcb5b9b5b6b6bfb9aeb3b5b4f4b9b5b7b7bfb4aea99ab5aea9f4aea8bfbba9f4bdb5ac"><span class="__cf_email__" data-cfemail="731a1d151c101c1f1f1610071a1c1d5d101c1e1e161d0700331c07005d07011612005d141c05">[email protected]</span></a>. 
Please include ``Advanced Capital Adequacy Framework Regulatory 
Reporting Requirements (1550-NEW)'' in the subject line of the message 
and include your name and telephone number in the message.
    <bullet> Fax: (202) 906-6518.
    <bullet> Mail: Information Collection Comments, Chief Counsel's 
Office, Office of Thrift Supervision, 1700 G Street, NW., Washington, 
DC 20552, Attention: ``Advanced Capital Adequacy Framework Regulatory 
Reporting Requirements (1550-NEW).''
    <bullet> Hand Delivery/Courier: Guard's Desk, East Lobby Entrance, 
1700 G Street, NW., from 9 a.m. to 4 p.m. on business days, Attention: 
Information Collection Comments, Chief Counsel's Office, Attention: 
``Advanced Capital Adequacy Framework Regulatory Reporting Requirements 
(1550-NEW).''
    Instructions: All submissions received must include the agency name 
and ``Advanced Capital Adequacy Framework Regulatory Reporting 
Requirements (1550-NEW).'' All

[[Page 55982]]

comments received will be posted without change to the OTS Internet 
Site at http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1, 
including any personal information provided.
    Docket: For access to the docket to read background documents or 
comments received, go to http://www.ots.treas.gov/pagehtml.cfm?catNumber=67&an=1. In addition, you may inspect comments 
at the Public Reading Room, 1700 G Street, NW., by appointment. To make 
an appointment for access, call (202) 906-5922, send an e-mail to 
<a href="/cdn-cgi/l/email-protection#7f431e5f170d1a1942" http: public.info">public.info</a>@ots.treas.gov">public.info@ots.treas.gov</a>, or send a facsimile transmission to (202) 
906-7755. (Prior notice identifying the materials you will be 
requesting will assist us in serving you.) We schedule appointments on 
business days between 10 a.m. and 4 p.m. In most cases, appointments 
will be available the next business day following the date we receive a 
request.
    A copy of the comments may also be submitted to the OMB desk 
officer for the agencies by mail to the Office of Information and 
Regulatory Affairs, U.S. Office of Management and Budget, New Executive 
Office Building, Room 10235, 725 17th Street, NW., Washington, DC 
20503, or by fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT: For further information about the 
proposed regulatory reporting requirements discussed in this notice, 
please contact any of the agency clearance officers whose names appear 
below. In addition, copies of reporting schedules and instructions can 
be obtained at each agency's Web site as well as the FFIEC's Web 
site.\2\
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    \2\ For the OCC: http://www.occ.treas.gov; for the FDIC: http://www.fdic.gov; for the OTS: http://www.ots.treas.gov; for the Board: 
http://www.federalreserve.gov/boarddocs/reportforms/review.cfm; and for the FFIEC: http://www.ffiec.gov/ffiec_report_forms.htm.
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    OCC: Please direct substantive questions to Lorey Hoffman, Large 
Bank Director, Large Bank Supervision, (202) 874-4595, and requests for 
copies of the collection to Mary Gottlieb, OCC Clearance Officer, or 
Camille Dickerson, (202-874-5090), Legislative and Regulatory 
Activities Division, Office of the Comptroller of the Currency, 250 E 
Street, SW., Washington, DC 20219.
    Board: Michelle Long, Federal Reserve Board Clearance Officer, 
Division of Research and Statistics, Board of Governors of the Federal 
Reserve System, Washington, DC 20551 (202-452-3829).
    FDIC: Steven F. Hanft, Clearance Officer, at <a href="/cdn-cgi/l/email-protection#1e6d767f70786a5e787a777d30797168"><span class="__cf_email__" data-cfemail="a4d7ccc5cac2d0e4c2c0cdc78ac3cbd2">[email protected]</span></a>, (202-
898-3907), Legal Division, Federal Deposit Insurance Corporation, 550 
17th Street, NW., Washington, DC 20429.
    OTS: Marilyn K. Burton, OTS Clearance Officer, at 
<a href="/cdn-cgi/l/email-protection#0e636f7c67627760206c7b7c7a61604e617a7d207a7c6b6f7d20696178"><span class="__cf_email__" data-cfemail="e984889b80859087c78b9c9b9d8687a9869d9ac79d9b8c889ac78e869f">[email protected]</span></a>, (202) 906-6467, or facsimile number (202) 
906-6518, Litigation Division, Chief Counsel's Office, Office of Thrift 
Supervision, 1700 G Street, NW., Washington, DC 20552.

SUPPLEMENTARY INFORMATION: The agencies are proposing to implement the 
following new information collections.
    Report Title: Advanced Capital Adequacy Framework Regulatory 
Reporting Requirements.
    Form Numbers: FFIEC 101.
    Frequency of Response: Quarterly.
    Affected Public: Business or other for-profit.

OCC

    OMB Number: 1557-NEW.
    Estimated Number of Respondents: 52 national banks.
    Estimated Time per Response: 280 hours.
    Estimated Total Annual Burden: 58,240 hours.

Board

    OMB Number: 7100-NEW.
    Estimated Number of Respondents: 6 state member banks.
    Estimated Time per Response: 280 hours.
    Estimated Total Annual Burden: 6,720 hours.
    OMB Number: 7100-NEW.
    Estimated Number of Respondents: 15 BHCs.
    Estimated Time per Response: 280 hours.
    Estimated Total Annual Burden: 16,800 hours.

FDIC

    OMB Number: 3064-NEW.
    Estimated Number of Respondents: 19 state nonmember banks.
    Estimated Time per Response: 280 hours.
    Estimated Total Annual Burden: 21,280 hours.

OTS

    OMB Number: 1550-NEW.
    Estimated Number of Respondents: 5 savings associations.
    Estimated Time per Response: 280 hours.
    Estimated Total Annual Burden: 5,600 hours.

General Description of Reports

    These information collections would be mandatory for banks using 
the Advanced Capital Adequacy Framework: 12 U.S.C. 161 (for national 
banks), 12 U.S.C. 324 and 12 U.S.C. 1844(c) (for state member banks and 
BHCs, respectively), 12 U.S.C. 1817 (for insured state nonmember 
commercial and savings banks), and 12 U.S.C. 1464 (for savings 
associations). These information collections would be given 
confidential treatment (5 U.S.C. 552(b)(4)) except for selected data 
items to be released for data collected from a reporting entity during 
periods subsequent to its parallel run period (Schedules A and B, and 
data items 1-7 of Schedule V).

Abstract

    Each bank that qualifies for and applies the advanced internal 
ratings-based approach for credit risk and the advanced measurement 
approach for operational risk would file quarterly regulatory data for 
the agencies' use in assessing and monitoring the levels and components 
of each reporting entity's risk-based capital requirements and the 
adequacy of the entity's capital under the Advanced Capital Adequacy 
Framework. These data also would support the agencies' efforts to 
evaluate the quantitative impact and competitive implications of the 
Advanced Capital Adequacy Framework on individual reporting entities 
and on an industry-wide basis. The reporting schedules would also 
assist banks in understanding expectations surrounding the system 
development necessary for implementation and validation of the Advanced 
Capital Adequacy Framework. The submitted data that is released 
publicly would also provide other interested parties with information 
about banks' risk-based capital. In addition, the submitted data would 
supplement on-site examination processes.

Current Actions; Risk-Based Capital Standards: Advanced Capital 
Adequacy Framework: Regulatory Reporting Requirements

I. Background

    The agencies have today published a joint notice of proposed 
rulemaking entitled Risk-Based Capital Standards: Advanced Capital 
Adequacy Framework (the NPR).\3\ The NPR describes a new regulatory 
capital framework for U.S. banks that qualify for and adopt the 
advanced internal ratings-based (AIRB) approach for credit risk and the 
advanced measurement approach (AMA) for operational risk (together, the 
advanced approaches). Included within the NPR are requirements for 
public

[[Page 55983]]

disclosure of certain information at the consolidated banking 
organization level as well as a reference to certain additional 
regulatory reporting requirements for depository institutions (DIs) and 
BHCs. The additional regulatory reporting requirements referenced 
within the NPR, and described more fully herein, comprise the agencies' 
proposed regulatory reporting requirements.
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    \3\ Terms used in this text and in the proposed regulatory 
reporting schedules and instructions are used as defined in the NPR.
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    The agencies, all of which would have access to both the public and 
confidential data submitted in these schedules by each bank, would use 
the data collected through this proposal to:
    <bullet> Assess the components of each bank's risk-based capital 
requirements;
    <bullet> Assess each bank's capital relative to inherent risks and 
the agencies' minimum capital requirements;
    <bullet> Monitor the levels and components of the risk-based 
capital requirements for banks through peer, outlier, and risk trend 
analyses;
    <bullet> Evaluate the quantitative impact and competitive 
implications of the implementation of the Advanced Capital Adequacy 
Framework on risk-based capital levels within reporting banks and on an 
overall industry basis;
    <bullet> Provide market participants, depositors, the public, 
supervisors, and other interested parties with information about banks' 
risk-based capital; and
    <bullet> Supplement on-site examination processes and decisions 
pertaining to the allocation of supervisory resources.
    In addition, this proposal would assist supervised institutions in 
understanding expectations surrounding the system development necessary 
for implementation and validation of the Advanced Capital Adequacy 
Framework.
    The agencies require the ability to monitor and assess individual 
banks' conformance with capital adequacy standards and understand the 
capital resulting from the implementation of the Advanced Capital 
Adequacy Framework. The current regulatory capital data submitted by 
banks would not provide relevant information regarding risk-based 
capital under the Advanced Capital Adequacy Framework. As a result, the 
agencies outline in this notice their proposed changes in regulatory 
capital reporting for banks using the Advanced Capital Adequacy 
Framework within the United States. Because the NPR includes 
transitional arrangements that involve capital floors linked to the 
general risk-based capital rules (as defined in the NPR), the agencies 
believe it is necessary to require data submissions under both the 
general risk-based capital rules and advanced risk-based capital 
frameworks for as long as a bank is subject to risk-based capital 
floors.
    As noted in the NPR, the agencies intend to conduct analyses to 
gauge the impact of the Advanced Capital Adequacy Framework, and the 
preparedness of banks to compute risk-based capital consistent with 
those requirements, during the parallel run and transitional floor 
periods. Data submitted through this proposal, combined with dual 
reporting requirements for the general risk-based capital data,\4\ 
would provide quantitative support for these impact analyses. Such 
analyses would also help the agencies evaluate the competitive and 
cyclical implications of the Advanced Capital Adequacy Framework 
relative to capital requirements for banks subject to the general risk-
based capital rules and the adequacy of capital generated under the 
Advanced Capital Adequacy Framework.
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    \4\ General risk-based capital data under the existing risk-
based capital standards are currently captured in the Consolidated 
Reports of Condition and Income (Call Report) for banks (Form FFIEC 
031 or FFIEC 041; OMB No. 1557-0081 for the OCC, 7100-0036 for the 
Board, and 3064-0052 for the FDIC), the Thrift Financial Report 
(TFR) for savings associations (OTS Form 1313; OMB No. 1550-0023), 
and the Consolidated Financial Statements for Bank Holding Companies 
(Board Form FR Y-9C; OMB No. 7100-0128).
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    A bank that applies the proposed advanced approaches would 
generally use its internal risk measurement systems to estimate risk 
parameters for credit risk exposures and to estimate operational risk 
exposure. The bank would use specific risk-based capital formulas to 
transform the risk parameters into risk-weighted asset amounts for each 
wholesale credit exposure and segment of retail credit exposures. For 
each wholesale credit exposure and segment of retail credit exposures, 
a bank would assign three quantitative risk parameter estimates: 
Probability of default (PD), which measures the likelihood that an 
obligor will default over a one-year horizon; loss given default (LGD), 
which is an estimate of the economic loss if a default occurs during 
downturn economic conditions; and exposure at default (EAD), which is 
measured in dollars and is an estimate of the amount that would be owed 
to the bank at the time of default. For each wholesale credit exposure, 
the bank would also determine effective maturity (M), which is measured 
in years and reflects the effective remaining maturity of the exposure. 
These risk parameters are the drivers of the bank's regulatory capital 
requirement for wholesale and retail credit exposures and the focus of 
much of the proposed regulatory reporting.
    Under the advanced approaches, a bank would employ simple risk 
weights to determine regulatory capital requirements for certain equity 
and securitization exposures, and may use internal models to determine 
regulatory capital requirements for other equity and securitization 
exposures, as well as for operational risk. The associated proposed 
regulatory reporting schedules primarily relate to data on inputs to 
and outputs from these internal models and risk-weight functions.
    Under the advanced approaches, a bank would use its internal 
systems and processes to assess its exposure to operational risk. The 
proposed operational risk reporting schedule would capture some of the 
critical inputs used by the bank to estimate its operational risk 
exposure.
    The agencies believe it is necessary to develop surveillance tools 
to assist in monitoring banks' risk-based capital measures. Such 
surveillance tools include the ability to perform bank-to-bank 
comparisons of the risk-based capital drivers underlying banks' capital 
measures, the ability to identify potential outliers through bank-to-
peer comparisons, and the ability to monitor banks' capital measures 
over time relative to trends in other risk indicators.
    The agencies believe that certain information about banks' risk-
based capital calculations that would be submitted under this proposal 
should be publicly available to market participants and that such 
disclosures at the bank level are consistent with the agencies' 
objectives of promoting market discipline as described in part VII of 
the preamble of the NPR. The agencies intend that the public data items 
contained within this proposal would provide market participants with 
basic, summary-level standardized information about the main components 
of banks' risk-based capital requirements. The standardized regulatory 
reporting information that would be available to the public should 
augment the disclosures required for other public financial reporting 
purposes.
    As is true for any off-site surveillance system, the collection of 
advanced risk-based capital data is unlikely to capture the full range 
and complexity of bank activities. As a result, the agencies recognize 
that it will often not be possible to draw definitive conclusions from 
an analysis of data submissions without further follow-up through on-
site supervisory activities. Nevertheless, the agencies believe that 
off-site

[[Page 55984]]

analyses of the data described in this proposal would be helpful in 
focusing the activities of on-site examiners and deploying supervisory 
resources most effectively.
    In developing this proposal, the agencies weighed several 
considerations. The factors the agencies considered included several 
trade-offs between reporting burden and the information needs of bank 
supervisors and market participants (for example, the level of 
reporting granularity necessary to produce meaningful comparisons of 
portfolio-level risks while minimizing reporting compliance costs and 
the potential for collected information to promote more informed 
decisions by market participants against the sensitive and confidential 
nature of risk estimates embedded within the advanced approaches). The 
agencies have also tried to anticipate and include data that meet their 
long-term data needs because comprehensive requests for data at the 
inception of a new reporting regime typically would be less costly to 
reporting institutions than the addition of items at a later date. The 
agencies believe this proposal appropriately balances these, and other, 
competing considerations.
    The agencies are publishing the NPR and the regulatory reporting 
proposal described herein at the same time as their notice of proposed 
rulemaking for the Market Risk Framework and its associated regulatory 
reporting proposal so that the industry, and other interested parties, 
may assess the full impact of the proposed rules. Part of this 
assessment includes an understanding of the requirements of compliant 
data systems, including the ability to produce certain high-level 
capital information for the public and more detailed, but still 
aggregated, summary information about each bank's capital risk 
estimates to augment supervisory processes.

II. Scope and Frequency of Reporting

    The proposed regulatory reporting requirements associated with the 
NPR described herein would apply, on a consolidated basis, to each BHC 
and each DI that qualifies for and applies the advanced approaches (see 
Part I, Section 1, of the proposed regulatory text in the NPR for a 
detailed description of the institutions covered by this notice) as 
well as to those banks in the parallel run stage of qualifying to use 
the advanced approaches (see Part III, Section 21(c) of the proposed 
regulatory text in the NPR). Reporting BHCs and DIs would submit data 
quarterly because efforts to monitor banks' progress toward, and 
actions under, the Advanced Capital Adequacy Framework require regular 
and consistent reports from all of the institutions adopting this 
framework.
    The agencies expect that the report due dates for the proposal 
described herein would be the same as the report due dates currently 
required of banks, savings associations, and BHCs when filing their 
respective Call Report, TFR, or BHC FR Y-9C report. In addition, the 
agencies expect all banks to meet the existing reporting standards for 
accuracy and other requirements as currently mandated by their primary 
Federal supervisor.
    The first reporting period for Schedules A through V for each 
reporting entity seeking to qualify for the advanced approaches would 
correspond to the first quarter of its parallel run period. All data 
collected from each reporting entity on Schedules A through V, 
including those data items identified as public data items below, would 
remain confidential during the entity's parallel run period. The data 
items identified below as public data elements would be available to 
the public for each reporting entity for data collected during 
reporting periods subsequent to the entity's parallel run period.
    Reporting banks would be required to submit capital information 
under both this reporting proposal and under the existing risk-based 
capital reporting requirements during both the relevant parallel run 
period and subsequent transitional floor periods.\5\ The purpose of 
this dual reporting requirement is threefold: (1) It would facilitate 
dialogue between supervisors and banks as banks bring their systems and 
data into compliance with supervisory expectations; (2) it would allow 
the agencies to monitor and ensure compliance with existing risk-based 
capital rules during the parallel run period and with those rules that 
would be in effect during subsequent transitional floor periods; and 
(3) it would aid in supervisors' development of comparisons of risk-
based capital results between the Advanced Capital Adequacy Framework 
and the existing risk-based capital frameworks for individual 
institutions and for the banking industry in the aggregate.
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    \5\ See footnote 4.
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III. Overview of the Data Collection Proposal

    The agencies believe that banks would produce the data necessary to 
support supervisory analyses as part of their calculation of regulatory 
capital requirements. Accordingly, the regulatory reporting proposal 
requires certain data that would be publicly available and other data 
that would not be publicly available. Although this reporting proposal 
has not been designed to satisfy the NPR's Pillar 3 public disclosure 
requirements, banks may be able to use certain data items submitted 
through this proposal to help satisfy certain public disclosure 
requirements established in the Advanced Capital Adequacy Framework.

A. Publicly Available Risk-Based Capital Data for the Advanced 
Approaches

    Regulatory reporting disclosures that would be publicly available 
for data collected from a reporting bank during periods subsequent to 
its parallel run period comprise various aggregated portfolio drivers 
of reporting banks' risk-based capital levels. The intent of these 
disclosures is to provide market participants, depositors, supervisors, 
the public, and other interested parties with a sufficient level of 
detail (comparable, in principle, to risk-based capital information 
collected currently) about banks' major capital and risk-weighted asset 
components as well as summary information about the composition of 
regulatory capital and the risk parameters that underlie risk-weighted 
asset calculations.
    Proposed Schedules A and B (and data items 1-7 of proposed Schedule 
V, Operational Risk) show the data items that would be publicly 
available for each reporting entity for reporting periods subsequent to 
its parallel run period. Schedule A contains information about the 
components of Tier 1 capital, Tier 2 capital, and adjustments to 
regulatory capital as defined within the NPR.\6\ Schedule B contains 
summary information about risk-weighted assets by risk type, and, in 
the case of credit risk exposures, outstanding balances and aggregated 
information about the drivers and

[[Page 55985]]

estimates that underlie the calculation of risk-weighted assets. The 
general exposure breakdowns in Schedule B are as follows: Wholesale 
Exposures (including separate reporting for the following types of 
exposures: Corporate; Bank; Sovereign; Construction Income Producing 
Real Estate; High Volatility Commercial Real Estate; Income Producing 
Real Estate; Eligible Margin Loans, Repo-Style Transactions, and OTC 
Derivatives with Cross Product Netting; Eligible Margin Loans, Repo-
Style Transactions, and OTC Derivatives without Cross Product Netting); 
Retail Exposures (including separate reporting for the following types 
of exposures: Residential Mortgage Closed-end First Liens, Residential 
Mortgage Closed-end Junior Liens, Residential Mortgage Revolving 
Exposures, Qualifying Revolving Exposures Credit Cards, Qualifying 
Revolving Exposures All Other, Other Retail Small Business, and Other 
Retail All Other); Securitization Exposures; Equity Exposures; and 
Operational Risk. The aggregate data items submitted in Schedule B are 
derived from information contained in the more detailed confidential 
supporting schedules described below. The exposures and risk parameters 
used to calculate these aggregations would apply the definitions 
contained in the NPR. The data contained in Schedule B describe the 
main summary-level components of banks' risk-weighted assets, but would 
not allow users to exactly replicate banks' risk-weighted asset 
calculations since the data are averaged, weighted, and rounded.
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    \6\ One version of Schedule A would apply to banks and BHCs and 
another version of Schedule A would apply to savings associations. 
The version for banks and BHCs is modeled after the portion of the 
Call Report and BHC FR Y-9C report used to capture information on 
the components of and adjustments to Tier 1 and Tier 2 capital under 
the existing risk-based capital standards. Similarly, the version of 
Schedule A for savings associations is modeled after the portion of 
the TFR used to capture such information under the existing 
standards. In addition, to the extent the information collected in 
the Call Report, BHC FR Y-9C report, and TFR on the components of 
and adjustments to Tier 1 and Tier 2 capital under the existing 
standards is revised, e.g., for changes in the fair value of 
liabilities to which a fair value option is applied that are 
attributable to changes in a reporting entity's own 
creditworthiness, corresponding revisions would be made to Schedule 
A.
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B. Non-Publicly Available Risk-Based Capital Data for the Advanced 
Approaches

    The confidential data submitted in these schedules by each bank 
would be shared among the four agencies but would not be released to 
the public. Data items that would not be publicly available comprise 
additional, but still aggregated, detail about the main data items and 
drivers of reporting banks' risk-based capital levels. With respect to 
credit portfolios, the focus of these more detailed reports is to 
collect information at the level of supervisory PD bands that broadly 
reflect risk segments within each portfolio. The proposed reports would 
enable supervisors to conduct off-site assessments of banks' regulatory 
capital calculations, perform trend analyses of capital changes, 
conduct peer analyses of capital and risk parameters, and focus on-site 
examination efforts.
    The data items contained in Schedules C through V describe the main 
components of banks' risk-weighted assets and are essentially expanded 
detail of the more summary information contained in the public data 
items shown in Schedule B. The data submitted in these schedules would 
not be made available to the public (except for data items 1-7 of 
Schedule V, Operational Risk, which are proposed to become public 
information for each reporting entity for data collected during periods 
subsequent to its parallel run reporting period). Supervisors are 
requesting these data to support comparisons of certain critical 
capital drivers across banks and across time. For the reasons cited 
previously, however, the information contained in the columns of the 
tables would not allow users to exactly replicate banks' risk-weighted 
asset calculations.
    A brief description of the content of Schedules C through V 
follows. As with the publicly available information described above, 
the exposures and risk parameters used to calculate these aggregations 
would apply the definitions contained in the NPR.
Wholesale Exposures
    Schedules C through K show data items within the wholesale exposure 
category that would be submitted under this proposal. Each schedule 
represents a sub-portfolio of the wholesale exposure category as listed 
on the public Schedule B. For each reported sub-portfolio, the schedule 
groups exposures into sub-portfolio segments using supervisor-defined 
PD ranges. The reported cells within these schedules then describe the 
main risk parameters and characteristics of each sub-portfolio segment.
Retail Exposures
    Schedules L through R show data items within the retail exposure 
category that would be submitted under this proposal. Again, each 
schedule represents a sub-portfolio of the retail exposure category as 
listed on the public Schedule B. PD ranges are used to sub-divide each 
sub-portfolio into segments.\7\ The reported cells within these 
schedules then describe the main risk parameters and characteristics of 
each sub-portfolio segment. The retail schedules also incorporate risk 
characteristics that are believed to be commonly used drivers within 
banks' risk management and measurement processes, including the 
distribution of each sub-portfolio segment by loan-to-value ranges 
(applies only to real estate exposures), weighted average credit bureau 
score, and weighted average account age.\8\
---------------------------------------------------------------------------

    \7\ Unlike the wholesale credit exposure reporting schedules, 
the PD ranges for retail exposures differ from sub-portfolio to sub-
portfolio.
    \8\ For qualifying and other non-mortgage retail exposures, the 
EAD of accounts under two years old is reported instead of weighted 
average age for each sub-portfolio exposure segment.
---------------------------------------------------------------------------

Securitization Exposures
    Schedules S and T show data items within the securitization 
exposure class that would be submitted under this proposal. Schedule S 
provides information by rating categories about exposures subject to 
either the Ratings-Based Approach (RBA) or the Internal Assessment 
Approach (IAA). Schedule T provides certain memoranda information about 
unrated securitization exposures, exposures treated under the 
Supervisory Formula Approach, synthetic securitizations, and risk-
weighted assets relating to early amortization features of 
securitizations as prescribed in the NPR.\9\
---------------------------------------------------------------------------

    \9\ Amounts are further broken down by retail and non-retail.
---------------------------------------------------------------------------

Equities
    Schedule U provides information about a bank's equity exposures by 
type of exposure and by approach to measuring required capital. 
Schedule U also provides information on equity exposures subject to 
specific risk weights and equity exposures to investment funds. A bank 
would also complete the appropriate section of the schedule based on 
whether it uses a simple risk-weight approach, a full internal models 
approach, or a partially modeled approach to measuring required capital 
for equity exposures.
Operational Risk
    Schedule V shows the data items within the operational risk 
exposure class that banks would submit under this proposal. Data items 
submitted in this schedule include various details about historical 
operational losses, on a stand-alone and group-wide basis, for the 
current reporting period and those historical operational losses used 
to model operational risk capital. The schedule also contains data 
items related to scenarios, distribution assumptions, and loss caps 
used to model operational risk capital.

IV. Request for Comment

    Public comment is requested on all aspects of this joint notice. 
The agencies wish to encourage banks and other interested parties to 
comment on such matters as data availability, data alternatives, and 
reporting thresholds for each proposal for new data. The agencies are 
particularly interested in responses to the questions that follow

[[Page 55986]]

relating to certain key aspects of the proposal and potential data 
collection alternatives.
    (1) The agencies seek comment from the industry concerning the 
feasibility of collecting certain additional information beyond that 
described in this proposal. The purpose of this additional information 
is to help identify the causes of changes in credit risk regulatory 
capital requirements (for example, due to changes in exposure mix or 
changes in the bank's assessment of risk).
    To facilitate such analyses, reporting banks would be required to 
submit additional data items that summarize current and previous risk 
parameters for exposures that were in wholesale and retail credit 
portfolios as of the previous reporting period (for example, prior 
quarter, prior year)--the ``lookback'' portfolio. The intent of this 
lookback-portfolio approach would be to allow the agencies to better 
identify reasons for observed changes in regulatory credit risk capital 
requirements and allow for peer comparisons of changes from period to 
period.
    A lookback-portfolio approach would require additional data 
collection and processing. For example, banks would need to retain data 
on the internal risk rating category to which each exposure was 
previously assigned, and the previous EAD of each exposure. The 
agencies believe that this data maintenance requirement is consistent 
with supervisory expectations described in the NPR and proposed AIRB 
guidance in that banks subject to the Advanced Capital Adequacy 
Framework are expected to be able to evaluate and explain changes in 
risk parameters in order to assess their risk parameter estimation 
procedures.
    The agencies specifically seek industry comment on the following 
questions:
    <bullet> What aggregate summary information might banks submit that 
best describes or characterizes period-to-period migration across 
internal rating grades or retail segments?
    <bullet> If such information were required, are there particular 
formats or other considerations that would reduce the reporting burden 
for banks?
    (2) The agencies are considering another alternative reporting 
treatment with respect to the wholesale and retail portions of the 
above proposal (Schedules C-R). This alternative treatment would 
complement the lookback-portfolio approach just described but could be 
implemented whether or not the lookback-portfolio approach was 
implemented. Under this approach, banks would submit data according to 
each of their internal obligor rating grades or segments, rather than 
in the fixed bands defined in the current regulatory reporting 
proposal. In this case, each reporting bank could submit a different 
number of rows corresponding to the number of internal risk rating/
segmentation categories employed by that bank for the given portfolio.
    The agencies specifically seek industry comment on the following 
question:
    <bullet> Would reporting burden be lessened if banks submitted data 
using internally-defined obligor grades or segments, rather than 
aggregating the grades or segments in supervisory reporting bands?
    (3) The agencies request comment on the appropriateness of making 
the data items on Schedules A and B and data items 1 through 7 of the 
operational risk reporting schedule (Schedule V) available to the 
public for each reporting entity for data collected during periods 
subsequent to its parallel run reporting periods as currently proposed. 
Comments are requested on the extent to which banks are already 
providing these data to the public or are planning to make such data 
public as well as the timing of these disclosures. In addition, 
comments are requested on the perceived risks associated with public 
reporting of these data items.
    (4) What changes in the proposed regulatory reporting requirements 
for the Advanced Capital Adequacy Framework, including additional data 
or definitions, would better assist the agencies in reaching their 
stated goals? In this regard, the agencies also seek input on possible 
alternative ways to capture the requested information and the 
appropriateness of the requested data given the stated purposes of the 
information collections and the associated reporting burden.

Paperwork Reduction Act

    The agencies seek comment on:
    (a) Whether the proposed collections of information are necessary 
for the proper performance of the agencies' functions, including 
whether the information has practical utility;
    (b) The accuracy of the agencies' estimates of the burden of the 
proposed information collections, including the validity of the 
methodology and assumptions used;
    (c) Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    (d) Ways to minimize the burden of the information collections on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    (e) Estimates of capital or start up costs and costs of operation, 
maintenance, and purchase of services to provide information.
    Comments submitted in response to this joint notice will be shared 
among the agencies and will be summarized or included in the agencies' 
requests for OMB approval. All comments will become a matter of public 
record.

    Dated: September 6, 2006.
Stuart E. Feldstein,
Assistant Director, Legislative and Regulatory Activities Division, 
Office of the Comptroller of the Currency.

    Board of Governors of the Federal Reserve System, September 11, 
2006.
Jennifer J. Johnson,
Secretary of the Board.

    Dated at Washington, DC, this 8th day of September, 2006.

Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.

    Dated: September 7, 2006.
Deborah Dakin,
Senior Deputy Chief Counsel, Regulations and Legislation Division, 
Office of Thrift Supervision.

[FR Doc. 06-7674 Filed 9-22-06; 8:45 am]
BILLING CODE 4810-33-P; 6210-01-P; 6714-01-P; 6720-01-P


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